多周期趋势跟踪与成交量确认策略

/*backtest
start: 2024-09-01 00:00:00
end: 2025-02-18 08:00:00
period: 5d
basePeriod: 5d
exchanges: [{"eid":"Binance","currency":"BTC_USDT"}]
*/

//@version=6
strategy("Strategy: Daily MAs + OBV", overlay=true, initial_capital=10000, default_qty_type=strategy.percent_of_equity, default_qty_value=10, commission_type=strategy.commission.percent, commission_value=0.1)

//=== Daily Moving Averages Calculation =========================
// Get daily timeframe values using request.security.
dailyEMA9   = request.security(syminfo.tickerid, "D", ta.ema(close, 9))
dailyWMA20  = request.security(syminfo.tickerid, "D", ta.wma(close, 20))
dailyWMA200 = request.security(syminfo.tickerid, "D", ta.wma(close, 200))

// Check if each moving average is trending upward (current > previous).
ema9_up   = dailyEMA9   > nz(dailyEMA9[1])
wma20_up  = dailyWMA20  > nz(dailyWMA20[1])
wma200_up = dailyWMA200 > nz(dailyWMA200[1])

trend_condition = ema9_up and wma20_up and wma200_up

//=== OBV and its 13-period EMA Calculation ================================
// Calculate OBV manually using a cumulative sum.
obv_val = ta.cum(close > close[1] ? volume : (close < close[1] ? -volume : 0))
// 13-period EMA of the OBV.
ema13_obv = ta.ema(obv_val, 13)

// Condition: 13-period EMA of OBV must be above the OBV value.
obv_condition = ema13_obv > obv_val

//=== Entry Condition ===================================================
// Both trend and OBV conditions must be met.
buy_condition = trend_condition and obv_condition

//=== Entry and Exit Orders =============================================
// Enter a long position when the buy condition is met and no position is open.
if buy_condition and strategy.position_size <= 0
    strategy.entry("Long", strategy.long)

// Exit the position when the condition is no longer met.
if not buy_condition and strategy.position_size > 0
    strategy.close("Long")

//=== Explicit Entry and Exit Markers ====================================
// Determine the exact bar where entry and exit occur.
entry_signal = (strategy.position_size > 0 and (strategy.position_size[1] <= 0))
exit_signal  = (strategy.position_size == 0 and (strategy.position_size[1] > 0))

plotshape(entry_signal, title="Entry Signal", location=location.belowbar, style=shape.labelup, text="BUY", color=color.new(color.green, 0), size=size.normal)
plotshape(exit_signal, title="Exit Signal", location=location.abovebar, style=shape.labeldown, text="SELL", color=color.new(color.red, 0), size=size.normal)

//=== Plots for Visualization ===============================================
// Plot daily moving averages.
plot(dailyEMA9, color=color.blue, title="Daily EMA 9")
plot(dailyWMA20, color=color.orange, title="Daily WMA 20")
plot(dailyWMA200, color=color.red, title="Daily WMA 200")

// Plot OBV and its 13-period EMA using color.new() to specify transparency.
plot(obv_val, color=color.new(color.gray, 30), title="OBV")
plot(ema13_obv, color=color.new(color.green, 0), title="13-Period EMA OBV")

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